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The random walk model was introduced and investigated by D. Heyer [1]. It is a loss development model, where the geometric Brownian motion, which is frequently used in Mathematical Finance (for exampl...e, recall the famous Black-Sholes option pricing formula), is applied to cumulative losses. In this paper, as an application of the random walk model, the conditional distribution and the conditional confidence interval of the total loss to be paid in the specific future year, being given the cumulative losses of the present, will be investigated.続きを見る
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